Oil Options Volatility Little Changed as Futures Retreat

April 19 (Bloomberg) -- Oil options volatility was little
changed as the underlying futures fell after more Americans than
expected filed for unemployment benefits and sales of existing
homes declined.

Implied volatility for at-the-money options expiring in
June, a measure of expected price swings in futures and a gauge
of options prices, was 25.62 as of 3 p.m. on the New York
Mercantile Exchange, versus 25.74 yesterday.

Crude oil for May delivery fell 40 cents to settle at
$102.27 a barrel on the New York Mercantile Exchange. Crude
since April 4 has traded in a range of $100.68 to $105.07.

“The market is dilly-dallying here on lack of news to move
it much,” said Fred Rigolini, vice president of Paramount
Options Inc. in New York. “And you’ve got a tight range
again.”

Crude for June delivery declined 40 cents to $102.72. May
futures expire tomorrow.

The most-active oil options in electronic trading today
were June $90 puts, which gained 1 cent to 25 cents a barrel at
2:44 p.m. with 3,202 contracts trading. June $95 puts were the
second-most active with 2,159 lots changing hands. They rose 2
cents to 72 cents.

The exchange distributes real-time data for electronic
trading and releases information the next business day on floor
trading, where the bulk of options trading occurs.

Bearish bets accounted for 59 percent of the 162,482 trades
in the previous session. December $70 puts were the most
actively traded, with 32,572 lots changing hands. They were up 9
cents to 82 cents a barrel. The next-most active options, June
$95 puts, rose 14 cents to 70 cents on volume of 8,840.

Open interest was highest for December $80 puts with 42,653
contracts. Next were December $150 calls with 38,483 lots and
June $140 calls with 34,644.